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John is trying three different methods to price a European put option that will expire in three months. The underlying stock is currently priced at $32 and doesn’t pay any dividend. The put strike is $30, the risk-free rate is 10% per annum and the volatility is 30% per annum.(1) What is the put price today based on the Black-Scholes-Merton model? Make sure to provide the put delta as part of the work.

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Financial Management, Finance

Category:- Financial Management
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